Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0879
Annualized Std Dev 0.2264
Annualized Sharpe (Rf=0%) 0.3882

Row

Daily Return Statistics

Close
Observations 3686.0000
NAs 1.0000
Minimum -0.1190
Quartile 1 -0.0065
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0082
Maximum 0.1092
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0143
Skewness -0.4587
Kurtosis 5.1130

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0092
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0103
Downside Deviation (0%) 0.0103
Maximum Drawdown 0.5272
Historical VaR (95%) -0.0229
Historical ES (95%) -0.0347
Modified VaR (95%) -0.0233
Modified ES (95%) -0.0433
From Trough To Depth Length To Trough Recovery
2015-07-23 2020-03-23 NA -0.5272 1426 1175 NA
2007-05-10 2009-03-05 2009-12-15 -0.3666 648 450 198
2011-07-08 2011-08-08 2012-01-09 -0.1759 128 22 106
2014-03-06 2014-04-14 2014-06-20 -0.1462 75 28 47
2012-09-19 2012-11-15 2013-03-08 -0.1403 116 40 76

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 1.5 -0.1 0.6 0.2 -0.8 -0.3 -0.5 0.6
2007 0.4 -0.8 0.4 -0.3 0.4 -0.6 0.4 0.8 1.1 -1.4 0.4 -0.8 -0.1
2008 2.8 -1.5 2.3 1.1 -0.2 -0.3 -0.2 -0.3 0.8 1 -6.6 1.4 -0.1
2009 -1.6 -3.2 -2.3 -0.3 1.6 0.7 0 -1.2 -2 -1.1 1.8 -0.7 -8.1
2010 0.5 1.3 0.7 -0.7 -2 -1.7 0.7 2.3 -0.5 -0.6 1.5 -0.5 1.2
2011 0.7 -1.2 0.8 -0.3 -1.1 1.5 -1.1 -1.5 -1.5 -1.9 -0.6 -0.2 -6.3
2012 1.5 0.9 0.5 -0.4 -2.2 1.7 -0.9 0.1 0.5 0.9 0 1.4 4
2013 1.2 -0.3 -0.6 -2.3 -1.6 0.8 1.4 -0.9 1.8 0.9 0.2 0.2 0.6
2014 -0.9 -1.9 0.8 0.3 0 1.7 0.7 0.7 -1.1 0.1 -1.8 -0.5 -1.9
2015 -2.4 -0.8 -0.6 2.5 0.1 0.4 1.3 -2.1 1 -1.6 1.9 -1.5 -2.1
2016 0.6 1.5 1.7 -1.5 1.2 1.5 0.1 0 0.6 0.9 -1.6 0.9 6.1
2017 1.2 0.8 -0.5 0.3 1.6 -0.3 -1.5 0 0.9 1 0.2 -0.8 2.8
2018 1.2 -0.7 1 0.5 1.5 0.1 -0.1 1 -3.4 3.4 0.8 0.5 5.7
2019 0.6 1.2 0.2 0.1 -1.2 0.9 -0.1 -0.2 -1.7 2.1 0.3 0.9 3.2
2020 -0.9 -1 -4.2 -3 -0.5 0.4 -1.5 -1.2 0.5 -0.9 0.5 0.7 -10.6
2021 1.9 1.1 1.2 NA NA NA NA NA NA NA NA NA 4.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-22  15.6 SPY    124. -4.40e-3  -0.0132 -0.0057   -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
2 2006-06-23  15.7 SPY    124. -2.00e-4  -0.0017 -0.0137   -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
3 2006-06-29  15.8 SPY    127.  2.02e-2   0.0226 -0.0019   -0.0195   0.0621    0.304   0.036  GLD    59.5  0.0344   0.031 
4 2006-06-30  16.0 SPY    127. -3.00e-4   0.0224 -0.0117   -0.02     0.0675    0.291   0.0453 GLD    61.2  0.0287   0.0559
5 2006-07-03  16.0 SPY    128.  4.50e-3   0.0225 -0.00930  -0.0149   0.0692    0.281   0.0514 GLD    62.2  0.0155   0.0669
6 2006-07-11  15.8 SPY    127.  4.40e-3  -0.0031  0.0164   -0.018    0.0449    0.283   0.0267 GLD    63.8  0.0289   0.0262
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart